A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates (Q2213599): Difference between revisions

@@ Property / author @@
-Chao-Qun Ma
@@ Property / author: Chao-Qun Ma / rank @@
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+Chao-Qun Ma
@@ Property / author: Chao-Qun Ma / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.chaos.2019.03.038
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@@ Property / OpenAlex ID @@
+W2933261332
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Pricing the risks of default
@@ Property / cites work: Pricing the risks of default / rank @@
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+Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
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+A Binomial Tree Approach to Pricing Vulnerable Option in a Vague World
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+Option pricing with Mellin transforms
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+The pricing of vulnerable options with double Mellin transforms
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+Pricing vulnerable path-dependent options using integral transforms
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